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Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi1; Kong, Xin-Bing2; Jing, Bing-Yi3
2018-05
Source PublicationJOURNAL OF ECONOMETRICS
ISSN0304-4076
Volume204Issue:1Pages:18-32
Abstract

In estimating integrated volatility using high-frequency data, it is well documented that the presence of microstructure noise presents a major challenge. Recent literature has shown that the presence of multiple observations, a common feature in datasets, brings additional difficulty. In this study, we show that the preaveraging estimator is still consistent under multiple observations, and the related asymptotic distribution of the estimator is established. We also show that the preaveraging estimator based on multiple observations achieves the same asymptotic efficiency as the "ideal" estimator that assumes we know the exact trading times of all transactions. Simulation studies support the theoretical results, and we also illustrate the estimator using real data analysis. (C) 2018 Elsevier B.V. All rights reserved.

KeywordIto Semimartingale High Frequency Data Multiple Transactions Realized Power Variations Microstructure Noise Central Limit Theorem
DOI10.1016/j.jeconom.2017.12.008
URLView the original
Indexed BySCI ; SSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS IDWOS:000429512400002
PublisherELSEVIER SCIENCE SA
The Source to ArticleWOS
Fulltext Access
Citation statistics
Cited Times [WOS]:2   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Affiliation1.Univ Macau, Macau, Peoples R China
2.Nanjing Audit Univ, Nanjing, Jiangsu, Peoples R China
3.Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Liu, Zhi,Kong, Xin-Bing,Jing, Bing-Yi. Estimating the integrated volatility using high-frequency data with zero durations[J]. JOURNAL OF ECONOMETRICS,2018,204(1):18-32.
APA Liu, Zhi,Kong, Xin-Bing,&Jing, Bing-Yi.(2018).Estimating the integrated volatility using high-frequency data with zero durations.JOURNAL OF ECONOMETRICS,204(1),18-32.
MLA Liu, Zhi,et al."Estimating the integrated volatility using high-frequency data with zero durations".JOURNAL OF ECONOMETRICS 204.1(2018):18-32.
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